You're using the Creative Cloud version of Illustrator, right?
Just to check that you're looking in the correct place: They should be in the Library panel (I've attached a screenshot) under Graphics. Also, in that panel, there's a pulldown menu; make sure you're in the library where your Capture assets are saved.
Let me know if you still don't see them.
My apologies. I misunderstood. The ability to import Shapes from Capture CC into Draw isn't yet possible on iPhone. It's coming though. Soon. Hang in there.